Robust estimation of the structural errors-in-variables model

Robust alternatives to the method of moments estimator for estimating the simple structural errors-in-variables model are proposed. Consistency and asymptotic normality of the estimators are established. Using the influence curve the asymptotic variance is given. Results from a simulation experiment indicate a superior performance of robust alternatives to the method of moments estimator in a small sample framework when measurement errors are contaminated normal. Research reported in this paper was supported by a grant from Sundsvallsbanken.